Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0078
Annualized Std Dev 0.2514
Annualized Sharpe (Rf=0%) 0.0310

Row

Daily Return Statistics

Close
Observations 4274.0000
NAs 1.0000
Minimum -0.2061
Quartile 1 -0.0051
Median 0.0008
Arithmetic Mean 0.0002
Geometric Mean 0.0000
Quartile 3 0.0063
Maximum 0.2735
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0006
Variance 0.0003
Stdev 0.0158
Skewness -0.1813
Kurtosis 43.7181

Downside Risk

Close
Semi Deviation 0.0117
Gain Deviation 0.0119
Loss Deviation 0.0142
Downside Deviation (MAR=210%) 0.0159
Downside Deviation (Rf=0%) 0.0116
Downside Deviation (0%) 0.0116
Maximum Drawdown 0.7274
Historical VaR (95%) -0.0206
Historical ES (95%) -0.0391
Modified VaR (95%) -0.0127
Modified ES (95%) -0.0127
From Trough To Depth Length To Trough Recovery
2007-05-23 2009-03-09 2020-12-18 -0.7274 3420 452 2968
2004-04-02 2004-07-27 2006-11-22 -0.1717 667 79 588
2006-12-27 2007-03-05 2007-05-22 -0.0699 100 45 55
2020-12-30 2021-01-06 2021-01-21 -0.0507 15 5 10
2021-02-22 2021-03-04 2021-03-11 -0.0417 14 9 5

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA NA 1 -1 1.4 0.3 1.2 1.3 0.2 1.8 0.5 -0.2 6.6
2005 -0.4 0.8 -0.8 0.7 0.7 0 -0.4 -1 -0.3 -0.7 0.5 0.4 -0.4
2006 -0.2 0.2 0.1 0 0.5 0.2 0.1 0.2 0.5 -0.8 0.1 0.4 1.5
2007 0.1 -1.5 0.2 -0.5 0.4 -0.7 -0.7 1.1 -0.1 -2 2.3 0.3 -1
2008 1.3 -2.4 2.9 1.1 -0.2 -1.3 0.9 -0.7 3.8 3 -9.8 2.6 0.4
2009 -2.7 -2.4 2.8 1.7 2.5 -0.3 0.4 -1.6 -2.6 -3.8 0.9 0.7 -4.5
2010 1 0.6 0.5 -0.5 -1.5 -0.1 0.2 2.3 0.7 -0.8 1.5 0.4 4.4
2011 1.7 -1.3 0.4 0.4 -1.1 1.4 0.8 -0.3 -1.8 -2.4 1 0.5 -1.1
2012 2.1 0.7 0.5 -0.1 -2.3 1.8 0.9 1 0.6 0.2 -0.6 0.6 5.5
2013 -0.1 -1.3 -0.7 0.3 -1.2 0.8 0.3 0.4 0.4 -0.4 0.2 0.1 -1.2
2014 0.6 0.7 1 -0.2 0.7 0.2 -0.8 -0.8 -1.3 0.7 -2.1 -0.2 -1.6
2015 -1.2 0.1 -0.6 0.7 0.3 0.5 0.6 -3.1 0.3 -0.5 0.8 -0.6 -2.7
2016 1.1 2.4 1.2 -0.2 1.1 1.1 0.2 0.8 0.4 -1.3 -0.2 -0.5 6.2
2017 -0.6 0.8 0.2 0.2 0.5 0.9 0.8 0.8 0.1 0.3 0 -0.1 4
2018 -0.2 -1.2 1.6 0.2 0.8 1 1.2 -1.2 0.4 1.8 1.3 1.9 8
2019 0.4 0.3 1.3 -0.2 -1.3 0.9 -1 0.1 -0.8 0.2 -0.2 0.7 0.4
2020 -1.6 -3.1 -7.3 -2.8 0.8 0.3 0.5 0.7 0.8 -1.7 1.8 -0.4 -11.6
2021 2.4 2.2 0.8 NA NA NA NA NA NA NA NA NA 5.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2004-03-26  15   SPY    111. 3.00e-4 -3.00e-4  -0.034    0.0129    0.274  -0.011    -0.120 <NA>     NA    NA       NA
2 2004-03-29  15.0 SPY    113. 1.41e-2  2.68e-2  -0.0211   0.0263    0.298   0.0132   -0.113 <NA>     NA    NA       NA
3 2004-03-30  15.0 SPY    113. 3.40e-3  3.21e-2  -0.0275   0.0163    0.333  -0.0132   -0.128 <NA>     NA    NA       NA
4 2004-03-31  15.0 SPY    113. 1.20e-3  3.24e-2  -0.0206   0.0173    0.314  -0.0245   -0.120 <NA>     NA    NA       NA
5 2004-04-01  15.2 SPY    114. 6.00e-3  2.50e-2  -0.0165   0.0225    0.291  -0.0383   -0.132 <NA>     NA    NA       NA
6 2004-04-02  15.2 SPY    115. 7.60e-3  3.25e-2  -0.0116   0.0307    0.307  -0.0035   -0.121 <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart